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I feel that I should clarify my comments about the performance of the Daily VIX strategy. I thought the results poor and in case it was due to the current market I compared the batch of results to another strategy over the same period. I compared it to a swing strategy that captures similar short term moves. This second strategy confirmed that there were plenty of opportunities and that 30 trades or almost 30 (29) was enough to make this assessment.

I created a list and noted every entry and exit of the trades in the Daily VIX strategy on my charts. Reviewing the trades I realised my mistake. I assessed the performance of the Daily VIX based on an incorrect assumption. The strategy of the Daily VIX system is most definitely not a swing system nor is it a trend following system. It is a system based purely on momentum. I know that [USER=57364]@Skate[/USER] has always called it a momentum system but the word gets used incorrectly far to often. Swing and trend following strategies are often called momentum systems. They're not. They rely on price movement but not momentum (price acceleration).

The Daily VIX system entry is triggered by a specific level of price momentum (not just an upward move) and the exits are triggered by an absence or reversal of momentum. I was both fascinated and impressed by the exits. They're fast. This is an active system requiring lots a work each day.

The exits are so fast that the overall W% of this strategy will be lower than most trend following systems. I estimate that it'll average out to be just below 40%. Higher in bull markets and lower in bear markets (with no index filter). This estimate is about 5% lower than trend following systems. In unsuitable market conditions this system will frustrate traders who don't understand it. It will also cause others to make incorrect assumptions about short term performance.

These fast exits are what makes this strategy work. If you have difficulty selling soon after buying don't try this system. Positive momentum and exiting quickly when it ends ensures this system will create a high AW/AL ratio, I estimate that this will be much higher than swing systems. The AW/AL of trend following systems depend on the distance of the trailing exit stop (hard to estimate).

If we combine the W% of 40% with an AW/AL of 3.5/1 (my estimate) that produces a very good expectancy. We know the number of trades is high (29/11 days) so the profit potential is very good.

Dawn is breaking, so I should try to get some sleep.

<blockquote data-quote="peter2" data-source="post: 1092794" data-attributes="member: 13908">I feel that I should clarify my comments about&nbsp; the performance of the Daily VIX strategy. I thought the results poor and in case it was due to the current market I compared the batch of results to another strategy over the same period. I compared it to a swing strategy that captures similar short term moves. This second strategy confirmed that there were plenty of opportunities and that 30 trades or almost 30 (29) was enough to make this assessment. I created a list and noted every entry and exit of the trades in the Daily VIX strategy on my charts. Reviewing the trades I realised my mistake. I assessed the performance of the Daily VIX based on an incorrect assumption. The strategy of the Daily VIX system is most definitely not a swing system nor is it a trend following system. It is a system based purely on momentum. I know that [USER=57364]@Skate[/USER] has always called it a momentum system but the word gets used incorrectly far to often. Swing and trend following strategies are often called momentum systems. They&#039;re not. They rely on price movement but not momentum (price acceleration).The Daily VIX system entry is triggered by a specific level of price momentum (not just an upward move) and the exits are triggered by an absence or reversal of momentum.&nbsp; I was both fascinated and impressed by the exits. They&#039;re fast. This is an active system requiring lots a work each day. The exits are so fast that the overall W% of this strategy will be lower than most trend following systems. I estimate that it&#039;ll average out to be just below 40%. Higher in bull markets and lower in bear markets (with no index filter). This estimate is about 5% lower than trend following systems. In unsuitable market conditions this system will frustrate traders who don&#039;t understand it. It will also cause others to make incorrect assumptions about short term performance.&nbsp; <img src="data:image/gif;base64,R0lGODlhAQABAIAAAAAAAP///yH5BAEAAAAALAAAAAABAAEAAAIBRAA7" class="smilie smilie--sprite smilie--sprite10" alt=":oops:" title="Oops!&nbsp; &nbsp; :oops:" loading="lazy" data-shortname=":oops:" />These fast exits are what makes this strategy work. If you have difficulty selling soon after buying don&#039;t try this system. Positive momentum and exiting quickly when it ends ensures this system will create a high AW/AL ratio, I estimate that this will be much higher than swing systems. The AW/AL of trend following systems depend on the distance of the trailing exit stop (hard to estimate).If we combine the W% of 40% with an AW/AL of 3.5/1 (my estimate) that produces a very good expectancy. We know the number of trades is high (29/11 days) so the profit potential is very good. Dawn is breaking, so I should try to get some sleep.</blockquote>

[QUOTE="peter2, post: 1092794, member: 13908"] I feel that I should clarify my comments about the performance of the [B]Daily VIX strategy[/B]. I thought the results poor and in case it was due to the current market I compared the batch of results to another strategy over the same period. I compared it to a swing strategy that captures similar short term moves. This second strategy confirmed that there were plenty of opportunities and that 30 trades or almost 30 (29) was enough to make this assessment. I created a list and noted every entry and exit of the trades in the Daily VIX strategy on my charts. Reviewing the trades I realised my mistake. I assessed the performance of the Daily VIX based on an incorrect assumption. The strategy of the Daily VIX system is most definitely not a swing system nor is it a trend following system. It is a system based purely on momentum. I know that [USER=57364]@Skate[/USER] has always called it a momentum system but the word gets used incorrectly far to often. Swing and trend following strategies are often called momentum systems. They're not. They rely on price movement but not momentum (price acceleration). The Daily VIX system entry is triggered by a specific level of price momentum (not just an upward move) and the exits are triggered by an absence or reversal of momentum. I was both fascinated and impressed by the exits. They're fast. This is an active system requiring lots a work each day. The exits are so fast that the overall W% of this strategy will be lower than most trend following systems. I estimate that it'll average out to be just below 40%. Higher in bull markets and lower in bear markets (with no index filter). This estimate is about 5% lower than trend following systems. In unsuitable market conditions this system will frustrate traders who don't understand it. It will also cause others to make incorrect assumptions about short term performance. :oops: These fast exits are what makes this strategy work. If you have difficulty selling soon after buying don't try this system. Positive momentum and exiting quickly when it ends ensures this system will create a high AW/AL ratio, I estimate that this will be much higher than swing systems. The AW/AL of trend following systems depend on the distance of the trailing exit stop (hard to estimate). If we combine the W% of 40% with an AW/AL of 3.5/1 (my estimate) that produces a very good expectancy. We know the number of trades is high (29/11 days) so the profit potential is very good. [SIZE=3][I]Dawn is breaking, so I should try to get some sleep.[/I][/SIZE] [/QUOTE]

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